John, I know you've already bought the lens, but if you want to see the sort of images you can get with a Sigma 120-400mm and a 40D, have a look at my Flickr pages (link in my signature). It's a great lens for the money, and, providing you work within it's limitations, it will provide you with awesome images. I tend to treat mine as an f7.1 lens above about 250mm, as wide open at longer focal lenghths the IQ really drops off.
That's about the only criticism I can level at it though, and when you take the price into account, it's a fairly minor complaint. I'm more than happy with mine